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hi,
there are multiple ways to do this in Amibroker.
Below I give an example how it can built this in a portfolio type
system,
rgds, Ed
// if you want this inside a
portfolio type system
SetBarsRequired(10000,10000);
SetOption("MaxOpenPositions", 10 );
SetOption("UsePrevBarEquityForPosSizing",True);
SetOption("PriceBoundChecking", False);
PositionSize = -10;
SetTradeDelays(0,0,0,0);
// delay of exit with respect to entry in
bars
sellDelay = Optimize("sellDelay", 1,
1, 50, 1);
// buy signal when H exceeds
H of past 220 bars
Buy = H > Ref(HHV(H,220),-1);
// entry at the open of the
bar following the signal bar
Buy = Ref(Buy,-1); BuyPrice = O;
// remove
excessive signals from initial signal
Buy = ExRemSpan(Buy, sellDelay);
//
sell sellDelay bars after entry at the open
Sell = BarsSince(Buy) == sellDelay; SellPrice = O;
SetChartOptions(0, chartShowDates);
GraphXSpace = 5;
Plot(C,"C",1,64);
PlotShapes(IIf(Buy,shapeUpArrow,0),colorWhite, layer = 0, yposition = BuyPrice, offset = 0 );
PlotShapes(IIf(Sell,shapeDownArrow,0),colorYellow, layer = 0,
yposition = SellPrice, offset = 0 );
PositionScore = 1/Ref(RSI(sellDelay),-1)
----- Original Message -----
Sent: Tuesday, November 13, 2007 8:24
PM
Subject: [amibroker] How to Buy Tomorrow
and Sell the Next Day Using Your Whole Portfolio
So I've got this great EOD system that pulls in handsome results.
However, I really want to measure exactly how effective it is.
There's
only one snafu. I can't get the backtester to buy and sell on
different
days. Basically, I want to:
1) Get the buy signal at the end of Day
1
2) Buy the stock on the opening of Day 2
3) Sell the stock on the
opening of Day 3
And I can do this when I invest my whole portfolio in
one stock using
this code:
E = Equity(0);
Buy <=
SellPrice*Ref(E,-1) AND E > 0;
And I've tried everything I can
think of relating to Buy, Sell, and
Ref commands, but those only seems to
work when you don't want the
backtester to buy and sell the SAME stock on
the same day. It doesn't
work across your whole portfolio.
So does
anyone know how to buy tomorrow and sell the next day across
your entire
portfolio?
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